Betting Against Boredom: A Field Guide to 2018 Volatility Trades
- Volatility has been below 10 about 20% of the time this year
- Global short vol trade has $2 trillion in strategies: Cole
A Field Guide to Volatility Trades in 2018
This article is for subscribers only.
It’s pretty simple: in three decades since the Cboe Volatility Index was invented, 2017 will go down as the least exciting year for stocks on record. There are three trading days left and the VIX’s average level has been 11.11, about 10 percent lower than the next-closest year.
It’s tempting to say nobody thinks it will last, but that would be to ignore the walls of money that remain stacked up in bets that it will. Going just by the sliver represented by listed securities, about $2.4 billion is in the short volatility trade as of this month, the most on record. Hundreds of billions more are betting against beta in things like volatility futures.